The compound Poisson approximation for a portfolio of dependent risks

DOI10.1016/0167-6687(95)00033-XzbMATH Open0853.62079OpenAlexW2045136737MaRDI QIDQ1921988FDOQ1921988

Authors: J. Dhaene, Marc J. Goovaerts 

Publication date: 9 January 1997

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00033-x

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zbMATH Keywords

compound Poisson approximationChen-Stein methoddependent risksaggregate claims distributionindividual risk theory modelmutually independent individual risks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• Poisson approximation for dependent trials
• Poisson approximation and the Chen-Stein method. With comments and a rejoinder by the authors
• Title not available (Why is that?)
• Error bounds for the compound Poisson approximation
• Some alternatives for the individual model

Cited In (25)

• De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
• A flexible model for actuarial risks under dependence
• Compound Poisson approximation: A user's guide
• Two maxentropic approaches to determine the probability density of compound risk losses
• Normal approximation for random sums
• Title not available (Why is that?)
• Common mixture in the individual risk model
• Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
• Some results on ruin probabilities in a two-dimensional risk model.
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Compound Poisson and signed compound Poisson approximations to the Markov binomial law
• Stop-loss premiums under dependence
• On variational bounds in the compound Poisson approximation of the individual risk model
• Testing independence in bivariate distributions of claim frequencies and severities
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• Optimization methods for compound Poisson risk processes
• Aggregate survival probability of a portfolio with dependent subportfolios.
• Compound Poisson approximations for individual models with dependent risks.
• The compound Poisson random variable's approximation to the individual risk model
• Measuring the impact of dependence between claims occurrences.
• On two dependent individual risk models.
• Optimal dividend payments for a two-dimensional insurance risk process
• Risk aggregation with dependence and overdispersion based on the compound Poisson INAR(1) process
• Title not available (Why is that?)
• ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION

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